Stopping conditions for exact computation of leave-one-out error in support vector machines

We propose a new stopping condition for a Support Vector Machine (SVM) solver which precisely reflects the objective of the Leave-OneOut error computation. The stopping condition guarantees that the output on an intermediate SVM solution is identical to the output of the optimal SVM solution with one data point excluded from the training set. A simple augmentation of a general SVM training algorithm allows one to use a stopping criterion equivalent to the proposed sufficient condition. A comprehensive experimental evaluation of our method shows consistent speedup of the exact LOO computation by our method, up to the factor of 13 for the linear kernel. The new algorithm can be seen as an example of constructive guidance of an optimization algorithm towards achieving the best attainable expected risk at optimal computational cost.

• Type: Conference
• Year: 2008
• Where: ICML
• Authors: Klaus-Robert Müller, Pavel Laskov, Vojtech Franc
• Keywords: ICML 2008, Intermediate Svm Solution, Machine Learning, Optimal Svm Solution, SVM Training Algorithm